Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0250
Annualized Std Dev 0.2366
Annualized Sharpe (Rf=0%) -0.1057

Row

Daily Return Statistics

Close
Observations 4757.0000
NAs 1.0000
Minimum -0.1986
Quartile 1 -0.0046
Median 0.0007
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0056
Maximum 0.1657
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0004
Variance 0.0002
Stdev 0.0149
Skewness -1.2056
Kurtosis 28.4576

Downside Risk

Close
Semi Deviation 0.0113
Gain Deviation 0.0107
Loss Deviation 0.0141
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0113
Downside Deviation (0%) 0.0113
Maximum Drawdown 0.7181
Historical VaR (95%) -0.0190
Historical ES (95%) -0.0381
Modified VaR (95%) -0.0206
Modified ES (95%) -0.0206
From Trough To Depth Length To Trough Recovery
2006-12-07 2020-03-23 NA -0.7181 3595 3344 NA
2002-05-16 2002-10-28 2003-06-06 -0.2020 267 115 152
2004-01-22 2004-05-10 2006-07-11 -0.1643 622 76 546
2003-07-03 2003-08-05 2003-10-10 -0.0753 70 23 47
2006-09-11 2006-10-03 2006-10-25 -0.0537 33 17 16

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA 0.3 -0.1 -0.7 -0.4 0.4 1.6 1 0 2.4 4.7
2003 -0.6 0.4 0.2 0.8 0.5 0.5 -1.4 0.7 0.6 1.4 1 0.5 4.5
2004 0.3 0.9 2.2 0.3 -1.2 0.9 0.5 0.2 0.2 0.2 -0.2 1 5.4
2005 0.4 -0.3 0.3 0.2 1.3 0.2 1.6 0.2 1 -0.4 -0.2 1.2 5.8
2006 -0.1 -0.1 -0.7 -0.1 0 0.1 1.7 0.2 -0.3 -0.6 0.6 0.1 0.9
2007 -0.4 -0.3 0.7 -0.3 0.5 0.9 0.6 1.2 1.7 -0.4 3.5 0.7 8.6
2008 0 -0.8 2.3 0.7 0.1 -0.7 1.8 -0.3 6.5 -3.7 -5.6 1.1 0.9
2009 -2.8 0.6 2.4 1.7 0.3 0.3 -0.1 -0.6 -1 -1.7 1.8 0.3 1
2010 1.1 0.9 0.8 -0.3 1.6 -2.5 0.6 0.7 0.7 -0.5 0.3 -0.1 3.3
2011 0.1 0.1 0.1 0.3 -0.3 -0.7 1.5 0.2 -1.2 -0.6 0.9 -0.1 0.4
2012 -0.1 0 0 1.3 -0.7 0.4 0.9 0 0.3 0 -1.3 -0.2 0.6
2013 -0.5 0.2 0.6 -0.7 -1.9 0.6 -0.2 -0.2 0 -0.2 0.8 -0.2 -1.6
2014 0.3 -0.2 0.4 0.4 0.3 -0.1 0 0.5 0.9 0.1 -0.2 -1.2 1.4
2015 1.4 1.1 0.9 0.6 -0.3 0.6 0.1 -0.3 -1.7 0.1 0.4 1.1 3.9
2016 -0.6 1.7 -0.6 1.5 0.5 -0.1 -0.9 0.3 0.9 0.8 -0.8 0.4 3.1
2017 0 0.2 0 -0.2 -0.2 1 0.1 0.1 0.4 0.2 0.7 0 2.4
2018 0.6 0.1 0.2 0.5 0.3 -0.2 1 0.6 0.2 0.9 -0.5 -1.1 2.7
2019 0.8 0.2 0.9 -0.8 -1.9 2.2 -0.3 0 0.5 0.4 0.3 0.5 3
2020 0 -3.2 -2.8 -1.9 1.2 0.9 0.5 0.4 1.5 -0.5 0.1 -1.2 -5
2021 0.1 1 0 NA NA NA NA NA NA NA NA NA 1.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 2002-04-26  15   SPY    107. -0.019   -0.0486  -0.0627  -0.0542   -0.137   -0.211       NA <NA>     NA    NA       NA
2 2002-04-29  15   SPY    107. -0.0049  -0.0373  -0.0669  -0.0615   -0.126   -0.213       NA <NA>     NA    NA       NA
3 2002-04-30  15.0 SPY    108.  0.0094  -0.0241  -0.0586  -0.0219   -0.113   -0.210       NA <NA>     NA    NA       NA
4 2002-05-01  15.1 SPY    109.  0.0122  -0.0021  -0.0418  -0.024    -0.114   -0.204       NA <NA>     NA    NA       NA
5 2002-05-02  15.0 SPY    109. -0.0038  -0.0065  -0.0387  -0.0391   -0.121   -0.197       NA <NA>     NA    NA       NA
6 2002-05-03  15.0 SPY    108. -0.0108   0.0018  -0.0452  -0.045    -0.145   -0.199       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart